Contents

Introduction

This pratical work will follow the example worked out in M. De Lara’s ﬁrst lecture. The
computations will be performed using nsp (a Matlab like simulation language). In order to launch
nsp just use the Nsp entry in the menu Applications/Science. You will need a speciﬁc nsp toolbox
called qhull to perform Voronoi tesselation. In order to load it, just type within nsp:
exec('COURSES/qhullnsp/loader.sce');

1 The Problem

Consider two independent random variables and , each with a uniform probability
distribution over (zero mean, variance ). The unique decision variable may
only use the observation of (which we view as the initial state ). The ﬁnal state
is equal to . The goal is to minimize , where is a given
“small” positive number (“cheap control”). The statement is thus

(1)

2 Exact Solution

We have that

The
last two terms in the right-hand side yield zero in expectation since and are centered
independent random variables and since is measurable with respect to . The ﬁrst two
terms yield twice the variance of the noises. Therefore, we remain with the problem of
minimizing

(2)

by choosing as a measurable function of . One can see that the solution is given
by

and the corresponding optimal cost is readily calculated to be

(3)

Question 1Use the following code to recover previous results by both numerical integration(nsp function intg) and Monte Carlo simulations. Choose and code an other feedback andcompare the associated cost with the optimal cost.

3 Naive Monte Carlo Discretization

We now proceed to some discretization of this problem. To that purpose, we ﬁrst consider
noise trajectories which are sample of the two-dimensional vector
. Those samples will serve to approximate the cost expectation by a usual Monte
Carlo averaging.

However, in this process, we must also consider corresponding realizations
of the random decision variable . But we must keep in mind that this random
variable should be measurable with respect to the ﬁrst component of the previous
vector.

To that purpose, we impose the constraint

(4)

which prevents from taking diﬀerent values whenever assumes the same value in any
two sample trajectories.

When Constraint (4) is never active, then we have to compute a diﬀerent control value for each
sample and the cost is:

(5)

This expression must be minimized in for every under the constraint (4). This
yields the optimal value

(6)

and the corresponding contribution to the cost . This is of order , and so
is the average over samples

(7)

even when goes to inﬁnity. This is far from the actual optimal cost given by (3).

Question 2Use the function grandto obtain a set of N=2500samples of (W0,W1).Assuming that the Nvalues that you obtain forW0are one by one distinct, compute theoptimal cost of the discrete problem. Optional question: set N=1000000and check if all the values forW0are one by one distinct(use function uniqueand type help uniqueto get the online manual). If not, propose amodiﬁcation of the code to handle this case in order to compute the discrete optimal cost.

// to be filled

4 What Is the Real Value of this “Solution”?

However, any admissible solution (any such that is measurable w.r.t. ) cannot
achieve a cost which is better than the optimal cost (3). The value (7) is just a “fake”
cost estimation. The resolution of the discretized problem derived from the previous
Monte Carlo procedure yielded an optimal value (see (6)) associated with each
sample noise trajectory represented by a point in the square . Hence,
before trying to evaluate the cost associated with this “solution”, we must ﬁrst derive
from it an admissible solution for the original problem, that is, a random variable
over , but with constant value along every vertical line of this square
(since the abscissa represents the ﬁrst component of the 2-dimensional noise
).

A natural choice is as follows:

we ﬁrst renumber the sample points so that the ﬁrst component is increasing
with ;

then, we divide the square into vertical strips by drawing vertical lines in the
middle of segments , that is, the -th strip is with
for , , and ;

then, we deﬁne the solution as the function of which is piecewise constant
over the square divided into those strips, using of course the optimal value given
by (6) in strip ; that is, we consider

(8)

where ranges in the square and is the function which takes the value 1
in and 0 elsewhere.

Since this is an admissible solution for the original (continuous) problem, the corresponding
cost value can be evaluated. Here, the expectation is over the argument
considered as a random variable over the square with uniform distribution (the calculation of this
expectation is done analytically).

Question 3Compute the optimal cost for the real problem obtained with the feedback (8) for agiven sample of (W0,W1). You will have to do the following steps:

sort the values ofW0(use function gsort).

compute the midpoints of the intervals and do not forget to add the endpoints −1 and
1.

use the permutation obtained when sorting theW0values to associate the correct valueof the control to each interval.

Although this is an “expected” cost, it is still a random variable sinceandare functions ofthe’s which result from random drawings (also depends upon the’s). The optimalcost being itself a random variable, compute by Monte Carlo its mean and standard deviation fordiﬀerent values of N.

5 Scenario Tree-based Discretization

The question is thus: how to
formulate another constraint translating the informational constraint in the discretized problem
more eﬀective than (4)? An obvious answer is that, in our collection of sample trajectories used in
the discrete optimization problem, there should really be distinct samples with the same value of
component .

Admittedly, if the scenarios are produced randomly (according to the joint uniform probability
law of over the square ), or if they have been recorded from real life
observations, there is a probability zero that a tree shape will pop up spontaneously, for any
arbitrary large but ﬁnite .

In the case of our example, since and are known to be independent (the white
noise case), any element in a set of samples of can be combined with the
same, or distinct, sets of samples of to produce such a tree. Even
if and were not independent, one could ﬁrst generate samples of
using the marginal probability law of this variable, and then, using each sample
and the conditional probability law of knowing that assumes the
value , one could generate associated samples of (“sons” of that
).

To ﬁx notations, we consider scenarios and we introduce the following
additional symbols:

(10)

Notice that can be interpreted as an estimate of the conditional expectation of
knowing that . Likewise, can be interpreted as an estimate of the conditional
second order moment.

to be compared with (7) and (3). If we assume that the estimates (10) converge towards
their right values (respectively, 0 and 1/3) as goes to inﬁnity, then (12) gets close
to

Now, the expression can also be viewed as an estimate of the second order
moment of and, if we assume that it converges to the true value 1/3 when goes to
inﬁnity, then we recover, in the limit, the true optimal cost (3). Therefore, unlike with the previous
naive Monte Carlo method (see (7)), here the optimal cost obtained in the discrete problem
appears to converge to the right value.

As we did earlier (see (9)), it is also interesting to evaluate the real cost associated with an
admissible solution derived from the collection of “optimal” values (11) by plugging those values
into the formula (8) (with replaced by ). Again, we have appealed to a computer
program using 100 experiments, each consisting in:

drawing values at random;

associated with each of those values, drawing a set of values at random;

computing the ’s (see (10)), the ’s (see (11)) and forming the admissible
solution (8) ( replaced by ) with those values after reordering the indices
so that is increasing with ;

evaluating the true cost by analytic integration w.r.t. the couple
with uniform probability distribution over the square .

Question 4Compute the optimal cost for the real problem obtained with the feedback (8) fora given tree sample of (W0,W1). The optimal cost being itself a random variable, computeby Monte Carlo its mean and standard deviation for diﬀerent values of N.

epsilon=1.E-2; N0=50; W0=grand(1,N0,'unf',-1,1); N1=50;// each column of W1 is associated to a value W0 W1=grand(N1,N0,'unf',-1,1);// compute the mean for each column W1m=mean(W1,1);// compute the variance for each column sig=mean(W1 .*W1,1);// the optimal discrete control// ...

6 Independent Discretizations of Noise and Information

We consider now an alternative approach consisting in independent discretizations of noise
and information. The noise is discretized using a voronoi tesselation (Nc cells) and
the control is discretized using vertical strips (Ns strips). As shown in the slides, we
need to solve Ns optimization problems (one problem for each strip), formulated as
follows :

Denoting

The discretized optimization problem on strip k giving the optimal uk is

in which is the probability weight of the intersection of cell with strip
.

Question 5

Draw a sample of size 2500value of (w0,w1) and plot the Voronoi diagram using thevoronoifunction.